臺灣博碩士論文加值系統

摘 要
本文實證探討股票市場表現與消費者支出行為間的長、短期關係。證據顯示，消費支出與股票市場價格指數、市場波動及實質所得存在共整合長期均衡關係，股價指數刺激、市場波動則是減緩消費支出。對應消費支出共整合關係的向量誤差修正模型建議消費支出與市場波動存在雙向因果關係；消費支出、實質所得與市場波動單向影響股價指數，不存在股價指數為消費或所得領先指標的證據，變異數分解亦支持上述因果關係檢定結論。一般化衝擊反應分析發現消費與所得，面對任何衝擊，出現長期累積效果，股價指數與市場波動則沒有累積效果。
長期，股價指數刺激消費支出，但在短期，消費者反應股價變動的支出行為卻為遲緩、股價指數不為消費領先指標；股票市場價格變動透過財富效果、未來所得預期效果、或消費者信心影響長期消費水準？是個值得深究的研究方向；股票市場衝擊不僅立即造成本身市場的波動，而且影響長期消費、所得水準，提供有關當局一個積極的政策建議：決策當局一方面要避免股票市場衝擊造成的本身市場不穩定，更需要補償股市衝擊產生的消費及所得缺口，避免經濟環境的惡化。

目錄 頁次
摘要 ..…………………………………………………………………. i
目錄 ..……………………………………………………………….. ii
表目錄 …...…………………………………………………………. iv
圖目錄 ………………………………………………………………... v
第一節 前言 ………………………………………………………... 1
1.1研究動機 ……………………………………………….. 1
1.2文獻回顧 ……………………………………………….. 2
1.3本文架構 ……………………………………………….. 4
第二節 消費模型與研究方法 …………………………………......5
2.1 消費函數 ……………………………………………… 6
2.2 估計方法……………………………………………… 6
第三節 股票市場波動 …………………………………………….. 14
3.1 ARCH模型 …………………………………………….. 14
3.2 股票市場報酬 ……………………………………….. 15
3.3 股票市場報酬ARCH模型估計 …………………….... 16
第四節 實證結果分析 …………………………………………….. 20
4.1 單根檢定 …………………………………………….. 20
4.2 共整合檢定……………………………………………. 20
4.3 誤差修正模型 ……………………………………….. 22
4.4 Granger因果關係檢定 ………………………………. 23
4.5 衝擊反應分析 ……………………………………….. 24
4.6 變異數分解 ………………………………………….. 25
第五節 結論 ……………………………………………………….. 37
參考文獻 …………………………………………………………….. 39
表目錄　　　　　　　　　　　　　　　　　　　　　　　　　 頁次
表 1 消費、國內產出與股票市場表現，1986-2001 ……………. 13
表 2 股票報酬基本統計量，1986-2001 …………………………. 17
表 3 ARCH效果檢定 …………………………………………….... 18
表 4 股票報酬ARCH(1)模型估計 ………………………………... 19
表 5 單根檢定 …………………………………………………….. 29
表 6 共整合檢定 ………………………………………………….. 30
表 7 共整合向量 ………………………………………………….. 31
表 8 向量誤差修正模型 ………………………………………….. 32
表 9 Granger因果關係檢定 ……………………………………... 33
表10 VECM衝擊反應分析 ……………………………………...... 34
表11 變異數分解 ………………………………………………….. 35
圖目錄 　　 頁次
圖1 VECM 衝擊反應 ……………………………………………..... 36
1(a) 消費支出反應 ……………………………………………. 36
1(b) 實質所得反應 ……………………………………………. 36
1(c) 股價指數反應 ……………………………………………. 36
1(d) 股票報酬波動反應 ………………………………………. 36

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